Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0312
Annualized Std Dev 0.1183
Annualized Sharpe (Rf=0%) 0.2634

Row

Daily Return Statistics

Close
Observations 3018.0000
NAs 1.0000
Minimum -0.0910
Quartile 1 -0.0033
Median 0.0003
Arithmetic Mean 0.0001
Geometric Mean 0.0001
Quartile 3 0.0040
Maximum 0.1040
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0004
Variance 0.0001
Stdev 0.0075
Skewness 0.3424
Kurtosis 35.9462

Downside Risk

Close
Semi Deviation 0.0053
Gain Deviation 0.0055
Loss Deviation 0.0058
Downside Deviation (MAR=210%) 0.0106
Downside Deviation (Rf=0%) 0.0053
Downside Deviation (0%) 0.0053
Maximum Drawdown 0.2795
Historical VaR (95%) -0.0101
Historical ES (95%) -0.0163
Modified VaR (95%) -0.0060
Modified ES (95%) -0.0060
From Trough To Depth Length To Trough Recovery
2020-03-09 2020-03-19 2020-07-15 -0.2795 90 9 81
2012-10-16 2013-08-21 2015-01-15 -0.1658 565 212 353
2015-02-02 2016-02-16 2019-08-02 -0.1567 1134 262 872
2020-08-07 2021-03-18 NA -0.1221 156 154 NA
2010-08-27 2011-02-04 2011-09-22 -0.1216 270 112 158

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA 0.1 0.3 0.4 -1.3 0.7 0.2 -0.1 -0.6 -1 -0.3 -1.7
2010 -0.6 -0.7 -0.2 1 -0.3 -0.1 0.9 -1.7 -0.8 -0.2 -1.5 1.5 -2.8
2011 -0.5 -0.6 0.3 0.6 0.3 -0.3 0.6 -0.2 0.9 0.7 -0.2 0.1 1.7
2012 -1.5 -1.2 -0.7 -0.3 0.8 -0.3 -0.6 0.8 -0.2 -0.2 -0.2 -1.2 -4.8
2013 -0.7 -0.4 -0.1 0.3 -0.9 0.4 -1.3 0.2 -0.7 -1.2 0.1 -0.3 -4.7
2014 -0.1 0.1 -0.5 0.3 -0.4 -0.9 -0.2 0.2 0.6 0 -1.3 -0.4 -2.3
2015 1.2 0.6 0.6 -1.2 -1.4 -0.9 1 0 0 0.8 0.8 0.4 1.8
2016 -0.7 -1.4 0.4 0.1 0 0.9 -1.6 -0.5 -0.4 -0.7 -0.5 0.5 -3.9
2017 -0.7 -1.7 0 -1.2 -0.5 -0.3 0.1 -0.8 0.5 -0.2 0.6 0.1 -4
2018 -1.3 -0.4 1 -0.8 -0.5 0 -0.8 -0.3 -0.6 -0.1 0 0.3 -3.3
2019 -0.8 -0.7 -1.1 -0.3 0.5 0.1 0.9 -0.3 -0.2 -0.2 -0.3 -0.6 -2.9
2020 0.3 1.9 -1.1 -1.1 -0.6 0.3 0.1 0.7 0.3 -0.8 -0.9 0.1 -0.9
2021 0 -0.5 0.5 NA NA NA NA NA NA NA NA NA 0

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart